Most significant publications
- Nicole Bäuerle, Marcin Pitera, Łukasz Stettner, Blackwell optimality and policy stability for long-run risk-sensitive stochastic control, SIAM Journal on Control and Optimization 62 (2024), 3172-3194
- Marcin Pitera, Łukasz Stettner, Existence of bounded solutions to multiplicative Poisson equations under mixing property, ESAIM - Control, Optimisation and Calculus of Variations 30 (2024), 49
- Marcin Pitera, Łukasz Stettner, Discrete-time risk sensitive portfolio optimization with proportional transaction costs, Mathematical Finance 33 (4) (2023), 1287-1313
- Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Mathematics of Operations Research 43, Issue 1 (2018), 204-221
Recent publications
- Damian Jelito, Kewin Pączek, Marcin Pitera, Agnieszka Wyłomańska, Statistical Applications of the 20/60/20 Rule in Risk Management and Portfolio Optimization, Applied Mathematical Finance (2026), 30 stron
- Marcin Pitera, Łukasz Stettner, Blackwell optimality in risk-sensitive stochastic control, International Conference on Control, Decision and Information Technologies [CoDIT] 1 (2025), 320-324
- Damian Jelito, Marcin Pitera, Kewin Pączek, Agnieszka Wyłomańska, Conditional correlation estimation and serial dependence identification, Journal of Computational and Applied Mathematics 468 (2025), 116633
- Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska, Jakub Woźny, Piotr Jaworski, Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule, Journal of Multivariate Analysis 206 (2025), 105396
- Nicole Bäuerle, Marcin Pitera, Łukasz Stettner, Blackwell optimality and policy stability for long-run risk-sensitive stochastic control, SIAM Journal on Control and Optimization 62 (2024), 3172-3194
Interests
1) Stochastic control in discrete time, Markov decision processes, long-run optimal control
2) Risk quantification and estimation, dynamic risk measures, time-consistency, risk sensitive control.
3) Portfolio optimisation, utility allocation.
4) Conditional dependance measures and dopula functions.
Marcin Pitera
academic degree/title Doctor of Science positionresearch and faculty staff member group, assistant professor
unit
- Department of Financial Mathematics
- Institute of Mathematics
marcin.pitera@uj.edu.pl
www